Produced by Jan Sverak, the film tells the story of one fateful day in the life of a middle-aged woman, played by actress and musician Iva Bittova.
Portobello Pictures handles international sales for the film.
Little Girl Blue beat out 11 other competitors, including Olivier Dahan's French-German-Czech co-production La Vie En Rose.
Jury president Ivo Mathe, deputy director of the Prague Academy of Performing Arts, praised Nellis' film for making a deep impression on the jury with its clear intent and simple, straightforward storytelling.
The prize for best documentary film went to Citizen Havel, directed by the late Pavel Koutecky and Miroslav Janek. The film follows former dissident and playwright Vaclav Havel through his two terms as president of the Czech Republic.
Deckert Distribution has world sales rights for the film.
The festival audience award went to Bobule (dir. Tomas Barina). A poll of readers of the Czech daily Mlada fronta Dnes resulted in the best performance award going to Ivan Trojan for his role in Vaclav (dir. Jiri Vejdelek).
Also at the festival, the Czech Film Centre hosted a presentation of more than a dozen upcoming feature films. Among the producers on hand was Pavel Strnad of Negativ, who showed industry professionals a brief clip from Alois Nebel, a $2.5m rotoscope animation project which will star Miroslav Krobot (The Man From London) in the role of the haunted title character.